QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | List of all members
BatesDetJumpModel Class Reference

#include <ql/models/equity/batesmodel.hpp>

+ Inheritance diagram for BatesDetJumpModel:
+ Collaboration diagram for BatesDetJumpModel:

Public Member Functions

 BatesDetJumpModel (const ext::shared_ptr< BatesProcess > &process, Real kappaLambda=1.0, Real thetaLambda=0.1)
 
Real kappaLambda () const
 
Real thetaLambda () const
 
- Public Member Functions inherited from BatesModel
 BatesModel (const ext::shared_ptr< BatesProcess > &process)
 
Real nu () const
 
Real delta () const
 
Real lambda () const
 
- Public Member Functions inherited from HestonModel
 HestonModel (const ext::shared_ptr< HestonProcess > &process)
 
Real theta () const
 
Real kappa () const
 
Real sigma () const
 
Real rho () const
 
Real v0 () const
 
ext::shared_ptr< HestonProcessprocess () const
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update () override
 
virtual void calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
 
const ext::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result. More...
 
const ArrayproblemValues () const
 Returns the problem values. More...
 
Array params () const
 Returns array of arguments on which calibration is done. More...
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from BatesModel
void generateArguments () override
 
- Protected Member Functions inherited from HestonModel
void generateArguments () override
 
virtual void generateArguments ()
 
- Protected Attributes inherited from HestonModel
ext::shared_ptr< HestonProcessprocess_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_ = EndCriteria::None
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Definition at line 56 of file batesmodel.hpp.

Constructor & Destructor Documentation

◆ BatesDetJumpModel()

BatesDetJumpModel ( const ext::shared_ptr< BatesProcess > &  process,
Real  kappaLambda = 1.0,
Real  thetaLambda = 0.1 
)
explicit

Definition at line 46 of file batesmodel.cpp.

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Member Function Documentation

◆ kappaLambda()

Real kappaLambda ( ) const

Definition at line 62 of file batesmodel.hpp.

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◆ thetaLambda()

Real thetaLambda ( ) const

Definition at line 63 of file batesmodel.hpp.

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